The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis
| dc.contributor.author | Kollias, Christos | en |
| dc.contributor.author | Mylonidis, Nikolaos | en |
| dc.contributor.author | Paleologou, Suzanna-Maria | en |
| dc.date.accessioned | 2015-11-24T17:05:26Z | |
| dc.date.available | 2015-11-24T17:05:26Z | |
| dc.identifier.issn | 1055-0925 | - |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11320 | |
| dc.rights | Default Licence | - |
| dc.subject | Stock Prices, Exchange Rates, Rolling Causality Tests | en |
| dc.title | The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis | en |
| heal.abstract | Both the goods market hypothesis and the portfolio balance theory, suggest a nexus between exchange rates and stock prices, albeit with a different direction of causality. This paper, using daily data, takes up the issue of the linkages between stock prices and exchange rates in the case of the euro-dollar rate and two composite European stock market indices: the FTSE Eurotop 300 and FTSE eTX All-Share Index. It addresses the causal ordering issue between the two markets using rolling unit root, cointegration and Granger causality tests. This methodological approach allows for the emergence of a clearer picture of the possible dynamic linkages between exchange rates and stock prices. The empirical results provide evidence of time-varying causality between the two markets. | en |
| heal.access | campus | - |
| heal.fullTextAvailability | TRUE | - |
| heal.identifier.primary | 10.1007/s12197-010-9129-8 | - |
| heal.journalName | Journal of Economics and Finance | en |
| heal.journalType | peer reviewed | - |
| heal.language | en | - |
| heal.publicationDate | 2010 | - |
| heal.publisher | Springer | en |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | journalArticle | - |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.type.en | Journal article | en |
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